Analsis Series
2022-08-27
Datos
ipsa_sa
| method | Valor-p | statistic | parameter | alternative | resultado 95% |
|---|---|---|---|---|---|
| Augmented Dickey-Fuller Test | 0.2727477 | -2.720626 | 6 | stationary | Existe unit-root |
| Ajuste | sigma | logLik | AIC | BIC | Box-Ljung test residuos p value |
|---|---|---|---|---|---|
| ARMA(6, 3) | 0.1253277 | 162.0968 | -302.1937 | -263.8609 | 0.9973860 |
| ARMA(4, 6) | 0.1266724 | 159.0179 | -294.0359 | -252.2183 | 0.9902530 |
| ARMA(5, 1) | 0.1295415 | 153.7232 | -291.4464 | -263.5680 | 0.9880742 |
| ARMA(5, 2) | 0.1251125 | 161.5737 | -305.1474 | -273.7842 | 0.9871039 |
| ARMA(2, 1) | 0.1288197 | 153.5389 | -297.0778 | -279.6538 | 0.9855968 |
| ARMA(5, 5) | 0.1267081 | 159.0955 | -294.1910 | -252.3735 | 0.9851692 |
| ARMA(5, 3) | 0.1300808 | 153.7547 | -287.5095 | -252.6615 | 0.9846781 |
| ARMA(6, 1) | 0.1295148 | 154.2744 | -290.5489 | -259.1857 | 0.9838289 |
| ARMA(2, 2) | 0.1290851 | 153.5531 | -295.1061 | -274.1974 | 0.9816079 |
| ARMA(4, 1) | 0.1292969 | 153.6664 | -293.3328 | -268.9392 | 0.9811503 |
| ARMA(1, 3) | 0.1290591 | 153.6018 | -295.2036 | -274.2948 | 0.9774766 |
| ARMA(4, 3) | 0.1243410 | 161.5467 | -305.0933 | -273.7302 | 0.9771072 |
El modelo seleccionado es el Modelo ARMA(6, 3), el cual posee AIC de -302.193665. Los parámetros estimados son:
| term | estimate | std.error | 2.5 % | 97.5 % |
|---|---|---|---|---|
| ar1 | 1.0047231 | 0.0772829 | 0.8532513 | 1.1561948 |
| ar2 | 0.5282915 | 0.1140917 | 0.3046760 | 0.7519071 |
| ar3 | -1.1948315 | 0.1093457 | -1.4091452 | -0.9805179 |
| ar4 | 0.2751198 | 0.0965644 | 0.0858572 | 0.4643825 |
| ar5 | 0.1402198 | 0.0935722 | -0.0431784 | 0.3236180 |
| ar6 | 0.1160064 | 0.0672156 | -0.0157337 | 0.2477464 |
| ma1 | -0.6109318 | 0.0520313 | -0.7129113 | -0.5089523 |
| ma2 | -0.6038494 | 0.0632301 | -0.7277781 | -0.4799208 |
| ma3 | 0.9587595 | 0.0659419 | 0.8295157 | 1.0880033 |
| intercept | 0.2445498 | 0.0435035 | 0.1592845 | 0.3298150 |
Los residuos presentan los siguientes ACF, PACF:
